François Longin

Professor, Finance Department

François Longin graduated from the Ecole Nationale des Ponts et Chaussées in 1990 and obtained his Ph.D. in finance at HEC School of Management in 1993. He aslo studied mathematics at the University Pierre et Marie Curie (Paris VI).

Before joining the Finance Department at ESSEC in September 1994, he conducted research in finance at the Stern Business School of New York University (NYU) and at London Business School.

Extreme events in finance (market crash modelization, exchange crises and market collapse). Application of extreme value theories: statistical distribution of extreme returns, setting margins for derivatives markets, impact of financial regulation on market volatility, improving portfolio mgmt techniques during highly volatile periods, computing VAR for market positions, catastrophe scenarios for stress testing. Applications for financial institutions to measure risks and determine capital requirements.

Banking and finance.

- Organization of the Conference Eurobanking Bordeaux 2003. For more information: www.eurobanking2003.org

- Research in finance: extreme events in finance, porfolio management, operational risk and model risk

- Editing of a special issue of the Finance review (official review of the French Finance Association AFFI) on "Extreme events in finance"

"Term-guaranteed Fund Management: The Option Method vs the Cushion Method" presented at the Eurobanking 2003 Conference (Bordeaux, May 2003) and the French Finance Association Meeting (Lyon, June 2003).

"Operational risk in fund valuation firms" presented at the Eurobanking 2003 Conference (Bordeaux, May 2003).

"Stress Testing: How Quantitative Techniques Can Help? presented at the Lisbon Business Shcool, research seminar and the Risk ALM Annual Conference (Paris, France, October 2002).

"Beyond the VaR" presented at the French Finance Association Meeting (Paris, France, June 2000) and at the Scottish Institute of Research in Investment and Finance (SIRIF) Conference on the theme "The state of the art of value at risk" (Edinburgh, Scotland, September 2000).

"Correlation Structure of International Equity Markets during Extremely Volatile Periods" presented at the Bachelier research seminar (Paris, France, October 1997), Lausanne University and Geneva University research seminars and at the American Finance Association Meeting (New York, U.S.A., January 1999),
the CCF Quants seminar (Champigny-sur-Marne, France, November 1999), the French Finance Association Meeting (Aix-en-Provence, France, June 1999), Eurobanking (Prague, Czech Republic, May 2000) and the Risk Conference (Paris, France, November 2000).

"Value at Risk and Extreme Returns" presented at the Conference on the theme "Computational Economics" (Cambridge, U.K., July 1998).

"Portfolio Insurance and Market Crashes" presented at the INQUIRE Conference (Leeds, U.K., 1996).

"Stress Testing: Application of Extreme Value Theory to Foreign Exchange Markets" presented at the International Trade and Finance Association Meeting (Atlantic City, U.S.A., May 1998).

"Evaluating the Probability of an Extreme Price Movement: Different Approaches" presented at the French Finance Association Meeting (Grenoble, France, June 1997).

"From VaR to Stress Testing: The Extreme Value Approach" presented at research seminars at LSE, INSEAD and Lausanne University, and at the MGI Conference on the theme "Market Risks" (Paris, France, July 1996), the French Finance Association Meeting (Grenoble, France, June 1997) and the European Financial Management Association Meeting (Lisbon, Portugal, June 1998).

"Winning in the Best and Worst of Times: Boom and Crash Options" presented at research seminars at ESSEC, HEC, LSE, at CCF workshop (Paris), and at the European Institute for Advanced Studies in Management (EIASM) Conference on the theme "Risk Management and Value at Risk for Financial Institutions" (Brussels, Belgium, January 1996), the French Finance Association Meeting (Paris, France, December 1995), the Southwest Finance Association Meeting (San Antonio, U.S.A., March 1996), the Midwest Finance Association Meeting (Chicago, U.S.A., March 1996) and the Eastern Finance Association Meeting (Charlotte, U.S.A., April 1996).

François Longin is the treasurer and a member of the board of the French Finance Association (AFFI), a member of the European Finance Association (EFA) and of the American Finance Association (AFA). He is also a research affiliate of the Center for European Policy Research (CEPR), which brings together academic researchers in economics and finance. François Longin is a member of INQUIRE Europe, a European association to promote research in finance and escpecially in portfolio management. He is also active in the French Association of Corporate Treasurers (AFTE), the French Association for the Development of Pension Funds (AFPEN) and the French Association of Asset Liability Managers (AFGAP) via participation in working groups on risk management.

Before joining CCF in 1999, François Longin had been a consultant for financial institutions in risk management.

He was also the chairman of the Finance Department at ESSEC.

Dr Longin has worked as a referee for the following academic and professional international journals:Journal of Business,Journal of Finance, Journal of Financial Economics, Journal of Financial Quantitatives Analysis, Journal of Banking and Finance, Review of Financial Studies, Journal of International Money and Finance, Journal of Empirical Finance, Pacific Basin Finance Journal, Journal of Futures Markets, Mathematical Finance, ASTIN Bulletin, RISK Magazine, International Review of Economics and Finance, European Journal of Operational Research and European Financial Review.

In September 2000, with Professor Pradeep Yadav of the University of Stratchlyde (Scotland) and the Scottish Institute of Research in Investment and Finance (SIRIF), he organized a conference for academics and practitioners on the theme: « The state of the art of value-at-risk » in Edinburgh, Scotland.

Professor Longin is a member of the steering committee of the "Financial Stochastic" research program at EURANDOM., a European research institute for the study of stochastic phenomena. Many real life systems and processes in our society are non-deterministic by nature. Mathematical modeling, very useful in analyzing, understanding and possibly optimizing such systems, requires therefore the application of 'non-deterministic' mathematics: probability theory, mathematical statistics and the stochastic part of operations research. EURANDOM carries out research in this area of mathematics and its applications.
In short EURANDOM is, as the name suggests, a EUropean institute for the study of RANDOM-ness. Formally it is an acronym for: 'European Unit for Research and Analysis of Non-Deterministic Operational Models'. For more information, visit the website www.eurandom.tue.nl.

2003-present: Consultant for leading international financial isntitutions. Works: risk management, credit risk, operational risk, market risk (VaR and stress testing), portfolio management and fianncial modelling.

1999-2003: Managing Director of the Department of Research and Innovation at HSBC CCF. Composed of 10 financial engineers, the Department of Research and Innovation (DRI) is responsible for auditing the quantitative models used in the Bank, helping operational units to develop new models and products and investigating new research ideas in finance.

1995-1999: Consultant for international financial institutions.